I really like the colouring on this piece, especially her eyes! You're right about some things, like the wings. Maybe it would suit your style better if you would connect them to the body completely, that's what I do. They would then run until the part where her hind legs begin, more or less. Also, I think you made her hind legs a tiny bit too big, if you compare them to the front legs they are a good bit too long. I don't see a lot wrong with the anatomy of her 'arms' really. In the show they don't always stick to what's possible for a real horse, either. Just take a look at Pinkie pie! As for the shading, I think her right hind leg has a bit too much lighting that I think her body would normally block, but it isn't that big of a deal.
I'm trying to be constructive, I really like your piece and the style and it looks amazing already, but that's just some small things I noticed, just trying to get you some useful feedback ^^